Mutually Exciting Point Processes with Latency
具有响应延迟的相互激发点过程AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确应用于纽约和多伦多交易所高频交易数据,研究毫秒级事件响应延迟。
具有响应延迟的相互激发点过程AI 解读 ↓
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A novel statistical approach to estimating latency, defined as the time it takes to learn about an event and generate response to this event, is proposed. Our approach only requires a multidimensional point process describing event times, which circumvents the use of more detailed datasets which may not even be available. We consider the class of parametric Hawkes models capturing clustering effects and define latency as a known function of kernel parameters, typically the mode of kernel function. Since latency is not well-defined when the kernel is exponential, we consider maximum likelihood estimation in the mixture of generalized gamma kernels case and derive the feasible central limit theory with in-fill asymptotics. As a byproduct, central limit theory for a latency estimator and related tests are provided. Our numerical study corroborates the theory. An empirical application on high frequency data transactions from the New York Stock Exchange and Toronto Stock Exchange shows that latency estimates for the US and Canadian stock exchanges vary between 1 and 6 milliseconds from 2020 to 2021.
Bergomi 型波动率模型的拟极大似然估计方法
We propose a quasi maximum likelihood estimation method for Bergomi-type stochastic volatility models with parametrized kernels, focusing on the estimation of the kernel parameters from high-frequency time-series observations of option prices. We first show that the cumulative forward variance, which can be reconstructed from option prices, solves an infinite-dimensional stochastic differential equation driven by a one-dimensional Brownian motion under the Bergomi-type…
利用高频数据进行波动率的拟极大似然估计
This paper investigates the properties of the well-known maximum likelihood estimator in the presence of stochastic volatility and market microstructure noise, by extending the classic asymptotic results of quasi-maximum likelihood estimation. When trying to estimate the integrated volatility and the variance of noise, this parametric approach remains consistent, efficient and robust as a quasi-estimator under misspecified assumptions. Moreover, it shares the model-free…
半参数持续期模型的简便秩估计方法
Modeling nonnegative financial variables (e.g. durations between trades or volatilities) is central to a number of studies across econometrics, and still poses several statistical challenges. Among them, the efficiency aspects of semiparametric estimation remain pivotal. In this paper, we concentrate on estimation problems in autoregressive conditional duration models with unspecified innovation densities. Exponential quasi-likelihood estimators (QMLE) are the usual practice…
含噪声且异步金融数据的高频协方差估计
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基于函数型分位数自相关的函数型时间序列白噪声检验
We introduce a novel class of nonlinear tests for serial dependence in functional time series, grounded in the functional quantile autocorrelation framework. Unlike traditional approaches based on the classical autocovariance kernel, the functional quantile autocorrelation framework leverages quantile-based excursion sets to robustly capture temporal dependence within infinite-dimensional functional data, accommodating potential outliers and complex nonlinear dependencies.…
非同步观测扩散过程的渐近一致最强检验
This paper introduces a quasi-likelihood ratio testing procedure for diffusion processes observed under nonsynchronous sampling schemes. High-frequency data, particularly in financial econometrics, are often recorded at irregular time points, challenging conventional synchronous methods for parameter estimation and hypothesis testing. To address these challenges, we develop a quasi-likelihood framework that accommodates irregular sampling while integrating adaptive…